TY  - JOUR
AU  - Lamont,Owen
AU  - Frazzini,Andrea
TI  - The Earnings Announcement Premium and Trading Volume
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 13090
PY  - 2007
Y2  - May 2007
UR  - http://www.nber.org/papers/w13090
L1  - http://www.nber.org/papers/w13090.pdf
N1  - Author contact info:
Owen Lamont
Department of Economics
Harvard University
Cambridge MA 02138
E-Mail: owen.lamont@yale.edu

Andrea Frazzini
AQR Capital Management, LLC
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
Tel: 203 742 3894
E-Mail: andrea.frazzini@aqr.com
M2  - featured in NBER digest on 2008-03-01
AB  - On average, stock prices rise around scheduled earnings announcement dates.  We show that this earnings announcement premium is large, robust, and strongly related to the fact that volume surges around announcement dates.  Stocks with high past announcement period volume earn the highest announcement premium, suggesting some common underlying cause for both volume and the premium.  We show that high premium stocks experience the highest levels of imputed small investor buying, suggesting that the premium is driven by buying by small investors when the announcement catches their attention.
ER  -